Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0001
Annualized Std Dev 0.1437
Annualized Sharpe (Rf=0%) 0.0009

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0898
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0047
Maximum 0.1649
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness 1.0851
Kurtosis 27.3524

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0070
Loss Deviation 0.0065
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0063
Downside Deviation (0%) 0.0063
Maximum Drawdown 0.3014
Historical VaR (95%) -0.0135
Historical ES (95%) -0.0205
Modified VaR (95%) -0.0069
Modified ES (95%) -0.0069
From Trough To Depth Length To Trough Recovery
2002-10-03 2008-12-16 2012-06-29 -0.3014 2454 1563 891
1999-04-27 1999-12-20 2002-03-04 -0.2561 716 166 550
2016-09-07 2020-03-23 NA -0.2288 1142 891 NA
2012-08-02 2013-08-16 2015-01-29 -0.1904 626 261 365
2002-03-05 2002-04-19 2002-09-11 -0.0750 133 33 100

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.3 -1.2 1.3 -0.6 -0.7 0.6 0 0 -0.7 2.2 0.8 0.8 3.8
2000 0 1.5 -1.4 1.5 1.5 0 0.7 0 1.4 -1.4 -0.7 0.7 3.8
2001 0.3 0 1.2 0.6 -0.1 0.6 0.5 -0.1 -1 0.9 -1.7 -1.1 0.2
2002 0.6 0.1 1.1 0.5 0.3 0.5 1 -0.9 0 -1 0.1 -0.3 2
2003 -0.5 -0.1 -1.2 0 -0.7 -0.7 -2.5 -0.7 0.6 -0.3 0.5 0.3 -5.1
2004 1.2 0 -0.7 -0.2 -1.3 -1 0.3 -0.6 -0.1 -1.4 -2 0.4 -5.3
2005 0.7 -0.2 -0.2 0.5 0.1 -0.1 0.4 0.6 0 0.9 -0.1 0 2.7
2006 -0.4 0.4 0.1 0.5 0.4 0.7 0.4 0 -1.3 0.6 0.9 1.8 4.3
2007 1 -0.1 0.7 -0.1 0.3 0.7 -0.1 1.8 -0.2 1.4 0.6 -0.4 5.6
2008 0 -1 0.1 0.3 -0.1 -0.2 0.3 -0.1 4.3 -0.8 -0.1 4.1 7
2009 -0.2 -0.5 -0.1 0.8 -1 0 0.3 1.4 0.8 -1.2 0 0.1 0.4
2010 0 0.7 -0.2 -0.2 0.1 1 -0.8 0.6 0.8 -0.3 -1.1 1.5 2
2011 0.7 0.1 0.2 1.4 -0.6 0.9 0.5 0.7 -0.3 -0.2 0.1 -0.5 3
2012 1 0.6 -0.5 0.7 0.4 0.7 1.5 0 0.4 -0.8 0.5 0.3 4.7
2013 0.3 -0.9 -0.7 2.5 -2.1 0.2 -0.7 0.4 0 -0.3 -0.1 0.5 -0.9
2014 0.4 0.1 -0.7 0 0.2 -0.2 0.8 0.3 0.7 -0.1 -0.1 -0.2 1.2
2015 0 1.5 0.2 -1.2 0.9 -0.5 0.6 0.5 0.8 -0.1 0 0.6 3.2
2016 0.2 0.5 0.1 0.6 0.1 0.1 0.4 -0.3 0.3 0 -1.2 -0.9 -0.1
2017 0 0.7 0.6 -0.5 0.3 0 0.9 -0.2 0.3 0.3 0 0 2.4
2018 -0.1 -0.1 0.4 0.1 -0.3 0.3 0.5 0.9 -1.1 -0.1 0.4 -0.2 0.8
2019 0.5 0.6 0.5 0.3 -0.4 -0.1 -0.1 -0.6 0 0.9 0 0.8 2.4
2020 0.8 -3.4 -3.5 0.8 1.1 -0.1 0.1 0.4 0.1 -0.1 -0.3 -0.7 -4.8
2021 -0.9 -0.3 0 NA NA NA NA NA NA NA NA NA -1.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart